Just another WordPress.com site

Archive for June, 2015

Zulfikar Ahmed<wile.e.coyote.006@gmail.com>

7:36 PM (1 minute ago)

to aimee

You’re the cutiest

Me too

Hmm I hear some beeps in my head like a phone ringing

Weird but teared but keered but seered but keered but leered but heared but leared but harked but part but heart but bart but gart but lart fast but keer but here we are keer beer we are here cheer peer we are dear here seer meer we guyer heart peer whyere buyered but chyred zoyer but k-word bare but cure art pick highered bit heart chort peer

Burn but cure but kick but ire but higher but keer but here but ear but here but ear but keer but ear we are but here but keer but we are chic we are

Love my art is life and I learned from Hamlet how to speak truth to power and from Nietzsche that will to power which he thought for a while was the impetus of life rather than ‘self preservation’, for what self will one preserve?

66

The inclination to diminish oneself, to rob oneself, to let oneself be deceived and exploited could be the embarrassment of a god among men.

67

Love of one man is a barbarity: for it is practised at the expense of all the rest. Also the love for God.

Zulfikar Ahmed<wile.e.coyote.006@gmail.com>

7:09 PM (0 minutes ago)

to aimee

My Dearest Lady of the Lake,

As promised, I am now staying at an SRO for a few days off the streets to recover from the pressure of the streets and the difficulties of hoboness, the weight of the world pressing down etc. It’s nice to have a clean room a sunny window looking out to placid park and an owner who is not out to fuck people which I felt from this Indian owner. He says no monthly but he’ll let me pay $65 a night and continue. So my disability for years of service to American economy is $1600 per month while $65*30 = $1950 is the rent that I can afford in San Francisco after this fuckface at 2361 Mission unlawfully evicted me because it’s easy to fuck over someone on fixed low income in America. I never wanted to be the poster boy for this. I was ready to restart my life while you were talking about sucking my dick at Muddy’s and so on for six months after you made all sorts of implicit and explicit promises. I forgave you for all that of course because I’m Divine. How else is divinity going to be tested? N’est pas?

Zulfikar Ahmed<wile.e.coyote.006@gmail.com>

10:04 PM (0 minutes ago)

to David, bcc: aimee

Sir,

Attached is the volatility distribution across 1900 assets in a single day. It’s main feature is a very broad distribution and a sharp thin one concentrated on the low end. Gaussian parameters mu and sigma for the broad Gaussian can define a very coarse model which do not account for any refined undersanding of the volatility.

This is a problem orthogonal to phase transition models for univariate volatility series; it is the problem of dimension reduction and seeking a good low-dimensional set of parameters behind the entire volatility dynamics. The main idea there is to collect fractional PDE model parameters per univariat series and take a look at the distribution of alpha, beta, etc. for each series and then consider the distribution for alpha, beta, etc as the parameters on a graph among nodes and consider that to be a first model of global financial volatility.

So now we have a basic complete model and code, mathematical tools, a clearer understanding of the problems and we can return to the data with a full picture of the research project here capable of quelling the volatility storms which was the inspiration behind this project:

YOUR HEART WOULD HAVE RESPONDED GAILY
(A poem dedicated to Talia de Varsgaard)

When invited
Beating obedient to controlling hands

High above the clouds of dust
The swirling storms of money
Crawling insects the fate of the fallen rebels

The boat responded gaily
To the hand expert at sail and oar
Arisen from a long sleep
Shattered cryogenic chambers
Love, the World exists only within

And thunders sear my heart
That create and end worlds of
The distant volatility storms
That I was meant to tame

Zulfikar Ahmed<canshoahsurvivereally@gmail.com>

Calm water diffusion models fit volatility univariate series relatively well but the question of whether a good fit is good enough is a delicate question. Calm water diffusion models, including the Gorenflo-Mainardi fractional diffusion models do not have the theoretical possibility for phase transition to turbulence. For the latter, fractional Navier-Stokes equations with exact solutions might be better. Attached find code and paper for the latter. Our plan is to prepare careful model checking after the computations are properly done in R.

I’d like to remind you that turbulence in volatility affects not only financial market participants but also millions of people at the mercy of a pre-scientific financial science that has not properly looked into global financial volatility as a fundamental scientific object of study since the profiteers hire the armies of quants not for science but to make the rich richer. This research is a preliminary stab deep into the heart of the quantitative features of volatility as a natural which we hope to show has a phase transition to turbulence just as the three-dimensional Navier-Stokes equation does based on Reynold’s number. It’s intuitively obvious that this should be the case also for fractional Navier-Stokes type equations.

Now consider the way in which we might decide whether a fractional diffusion or fractional hydrodynamics model is more appropriate for data.

v<-noisy.volatility

excess<-function(theta){

alpha<-theta[1]

beta<-theta[2]

ddt<-fractional.derivative(v,alpha)

ddx<-laplacian.term(v,beta)

ddt+ddx

}

excess.l1norm<-function(theta){

l1.norm(excess(theta))

}

theta0<-c(1.0,0.8)

fit<-optim(theta0,excess.l1norm)

theta0<-fit$par

x<-excess(theta0)

Now x will be the requisite ‘excess’ from the fractional diffusion that fits data the best. While it is difficult to imagine a fractional Navier-Stokes to hold directly on data, we can easily check whether the model fit is correct for diffusion. If it is indeed incorrect, we have some evidence that there is more to volatility than diffusion and the SIZE of this excess is going to tell us whether a phase transition possibility exists in data.

Now if the data tell us that hydrodynamics equations better explain the data then we have discovered that there are natural laws of volatility for which the phase transition to turbulence is a feature of the financial markets based on viscosity of money in the market. Intuitively Reynold’s number in hydrodynamics just tells us this. In particular global financial volatility studied scientifically would indicate that the turbulence in volatility is not due necessarily to malicious large traders but simply because there is a deep non-science of finance where the basic underlying models have not been able to capture some of the features of volatility series that explain phase transition possibilities.

Zulfikar Ahmed<wile.e.coyote.006@gmail.com>

11:47 PM (0 minutes ago)

to David, bcc: aimee

Sir,

We can easily calculate the Ito density for the stochastic models that are subordinated to Brownian motions, so we can test after the exact solutions are implemented whether these Ito densities match the diffusion models better than the fractional hydrodynamic type models; we can also test for some sort of optimization over alpha, beta for the excess function from diffusion:

Let v(t) be a univariate volatility series. Then we calculate phi(v(t)) which I have seen appears as a some parametric function of t which is not quite a power law. We optimize an excess(v,alpha,beta) function by some Lp norm

(alpha,beta) = argmin_{alpha,beta} Lpnorm( excess(v,alpha,beta))

excess(v,alpha,beta) = (d/dt)^alpha v + (-Laplacian)^beta v

If the minimum is achieved for alpha0 and beta0, then we have the candidate for the Navier-Stokes type term. It may simply be not significant but it would be a surprise to me obviously. If it is expressible as a function of say like the Navier-Stokes term which is not even sensible of course without a ‘space’ variable. This simple test can begin the foray into this project of seeking thresholds for phase transition to turbulence in volatility now here Laplacian needs interpretation. We have the market graph. This is where we can begin seeking some laws for volatility. I am serious sir because it is impossible that volatility follows diffusion and calm water effects. Otherwise the financial volatility cascading etc published in Nature since 1995-6 or earlier would make little sense. Onsager’s vortex formation model is my inspiration here and for the actual 2D point-vertex model he was able to explain formation of new vortices from the Navier-Stokes PDE directly.

Zulfikar Ahmed<canshoahsurvivereally@gmail.com>

Modulo implementation of Bessel, zeros of Bessel functions and Mittag-Leffler exact formulae which are nontrivial to implement, the R code attached and the paper giving an algorithm for exact calculation of Mittag-Leffler functions are attached. You can implement it yourself if you like. The main issue is that IF phase transition is theoretically possible for Navier-Stokes type fractional equations and IF we as in the entire human race repeatedly makes the DECEPTIVE ERROR that it is like CALM WATER effects like DIFFUSION, then we do NOT have a science of finance and then we are living in a PRE-SCIENTIFIC age of finance governed by profit-motive thereby allowing VOLATILITY STORMS to destroy millions of lives and livelihoods across the seven billion since we are too EMPIRICIST to consider volatility storms, UNSEEN storms to be dangerous. The world is too much with us when we run around in rat races fucking each other to get to the top playing monkey for the biggest money managers and Wall Street — which, if you did not know, funded both the Bolshevik Revolution and funded Hitler’s Germany etc. Let’s ADVANCE CIVILIZATION and seek a scientific quantitative approach to finance and look at the case of TOO LOW VISCOSITY type threshold that might take the NATURAL PROCESS of market volatility not due to the tampering of conspirators even with malicious or good intentions but simply misunderstanding that LOW VISCOSITY for markets will cause volatility TURBULENT STORMS. This is something I think I would recommend that’s good for the world.